Similar Search Results

Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?

Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397

Persistent link: https://www.econbiz.de/10012197236

Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In … innovation is the use of a set of predictors that account for variation in risk prices across (segmented) markets. These … competing methods (including those that assume homogeneous risk prices) when applied to domestic and international data -- a …

Persistent link: https://www.econbiz.de/10014350699

Multivariate forecasting of a commodity portfolio : application to cattle feeding margins and risk

Tonsor, Glynn T.; Schroeder, Ted C. - In: Applied economics 43 (2011) 10/12, pp. 1329-1339

Persistent link: https://www.econbiz.de/10009239426

Numerical comparison of multivariate models to forecasting risk measures

Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10011859009

Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?

Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014451960

Risk everywhere : modeling and managing volatility

Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, … - In: The review of financial studies 31 (2018) 7, pp. 2729-2773

Persistent link: https://www.econbiz.de/10011927185

Risk everywhere : modeling and managing volatility

Bollerslev, Tim; Hood, Benjamin; Huss, John; Pedersen, … - 2018

Persistent link: https://www.econbiz.de/10011884274

Do commodities add economic value in asset allocation? : new evidence from time-varying moments

Gao, Xin; Nardari, Federico - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 365-393

Persistent link: https://www.econbiz.de/10011929447

Dynamic portfolio choice with linear rebalancing rules

Moallemi, Ciamac C.; Sağlam, Mehmet - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 3, pp. 1247-1278

Persistent link: https://www.econbiz.de/10011743945

Hybrid tail risk and expected stock returns : when does the tail wag the dog?

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Review of asset pricing studies 4 (2014) 2, pp. 206-246

Persistent link: https://www.econbiz.de/10010476900